Approximation scheme for solutions of backward stochastic differential equations via the representation theorem

DOI10.5802/ambp.212zbMath1134.60349OpenAlexW2079519029MaRDI QIDQ2469438

Mohamed El Otmani

Publication date: 5 February 2008

Published in: Annales Mathématiques Blaise Pascal (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=AMBP_2006__13_1_17_0

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Stochastic particle methods (65C35)

Related Items (1)

BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness

Cites Work

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